KEY RATING DRIVERS

The affirmation is driven by the full liquidity support by Royal Bank of Scotland (RBS, A/Stable/F1) to all transactions funded by Orchid.

The affirmation follows a discussion with the management of RBS, which acts as the programme sponsor and main liquidity provider. The affirmation also takes into consideration the conduit's performance, commercial paper (CP) issuance, IT administration systems, administrative procedures, credit policies and portfolio composition.

All transactions benefit from a fully drawn liquidity facility covering 102% of the maximum transaction size regardless of the performance of the underlying assets.

RATING SENSITIVITIES

If RBS's Short-term rating was downgraded, Orchid's rating would be downgraded. Orchid, launched in December 2002, is structured to issue USD-denominated CP up to a maximum aggregate amount of USD4bn, the proceeds of which are used to fund the acquisition of pools of assets or receivables generally located or originated in emerging markets. Over time, Orchid has gradually disposed of its emerging market assets, and as of June 2013 no emerging market assets were outstanding. The remaining four assets are either from UK or Italy and fully funded by RBS's liquidity facility. No CP was issued or outstanding as at end-June 2013.